Worldwide Volatility in 2012

As the VIX® Index grew in popularity over the past decade, many investors have asked if the VIX methodology could be applied to securities representing non-US markets. Investors are interested in volatility and portfolio management relating to emerging markets, particularly in light of the fact that the IMF estimates that the GDP for China could have amazing growth from $1.9 trillion in 2004 to an estimated $13.2 trillion in 2017 (see the 2nd chart below).

CBOE now offers more than 20 volatility indexes that provide intraday updates on implied volatility of different securities.

Here are the average daily closing values in 2012 for four of those indexes that relate to different stock markets around the world —

28.71​VXEWZ – CBOE Brazil ETF Volatility Index

26.89​VXFXI – CBOE China ETF Volatility Index

25.97​VXEEM – CBOE Emerging Markets ETF Volatility Index

17.82​VIX – CBOE Volatility Index​

TRADING VOLUME IN 2012

Investors use options and futures on volatility indexes to diversify and manage risk. Total trading volume in 2012 for select products was as follows:

55,383 Futures on VXEEM – CBOE Emerging Markets ETF Volatility Index

345 Call Options on VXEEM – CBOE Emerging Markets ETF Volatility Index

237 Put Options on VXEEM – CBOE Emerging Markets ETF Volatility Index

7262 ​Futures on VXEWZ – CBOE Brazil ETF Volatility Index

CHANGES IN 2012

The CBOE China ETF Volatility Index (VXFXI) was down 26.2% in 2012, with a daily closing high of 38.57 and daily closing low of 20.92.

The CBOE Emerging Markets ETF Volatility Index (VXEEM) was down 33.7% in 2012, with a daily closing high of 37.42 and daily closing low of 20.03.

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